As DA. says, this question vastly oversimplifies things. However, there's actually a relatively simple answer: States were named after the Territories they were formed from.
Of course, then you have the next question: Why were the Territories named after Native American tribes? And the answer to that is that often, they weren't. Or at least, they were named after what one group called another group, rather than what the group called itself.
For example, here's North/South Dakota:
Louisiana is named after King Louis XIV (French). When the US bought it, they named the whole thing the Louisiana Territory.
When part of it became the state of Louisiana, the rest of it became the Missouri Territory, after the Missouri river, which was a name adapted by the French settlers from the name which the Illinois-speaking Native Americans called the Siouan-speaking tribe in the area. (The Missouria called themselves Niúachi in Siouan, but our name is derived from Wimihsoorita in Illinois).
When Missouri became a state, a chunk of the rest of the Purchase became the Nebraska Territory. Again, it was named for a river, in this case the Nebrathka or Nebraskier river, which was the name in the Otoe's language.
Finally, the Dakotas were named for the Native Americans in the area, although it wasn't what any of the tribes there called themselves. Instead, it comes from the word for "ally", which is how they referred to each other.
Corollary to all this, names have sticking power. If you've been calling the area where the Dakota people live "the Dakota's land" for 50 years, then when you go settle there you're settling in "Dakota land". That's what people further away will know it as, because the name has had time to spread. You may found your new city based on a name that's more familiar to you (your name, or a national hero, or a descriptive name, etc), but when you're referring to the general area, you refer to it by the name that most people will know it by. (This is the same idea where you might say that you're from "New York City" or "Eastern US" to someone from France, but the "Lower East Side" or a specific street to someone from Brooklyn.)
Names like Louisiana, New England, and Virginia are exceptions to this, because they were named either by people overseas (and thus didn't care what the locals already called it) or by newly arrived explorers who had yet to actually establish communication with the locals.
I'll also point out that very few names are based on what the tribes actually called themselves. Instead, they're almost all based on what they called each other. Further reading on that can be found in Wikipedia's page on Exonyms vs Endonyms (the names people give each other vs the names they give themselves). To the best of my (admittedly unresearched) knowledge, few (if any) "native american" names are endonyms. Every single one I know about, except for small towns or buildings that have been founded or renamed in the last ~100 years, is based on what some other group called the locals, or a corruption thereof.